Question ID
2016_2837
Legal act
Directive 2013/36/EU (CRD)
Topic
Supervisory reporting - Supervisory Benchmarking
Article
78
Paragraph
2
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2016/2070 - ITS on Supervisory Reporting (for benchmarking the internal approaches) (as amended)
Article/Paragraph
ANNEX IV - C 103.00 - column 140, maturity
Type of submitter
Competent authority
Subject matter
Portfolios where Maturity should be completed
Question

C 103.00 – Definition of High Default Portfolios - column 140, Maturity: Should this field be completed only for portfolios with exposures to corporates, institutions and central governments and central banks where the institution has received the permission to use own LGDs by the competent authority?

Background on the question

The instructions regarding the Maturity field in annex IV mention: "The exposure-weighted maturity shall be reported. It shall be expressed in number of days." but it does not clarify for which exposure classes should be completed. The scope of supervisory benchmarking is to assess the comparability and consistence in risk-weighted assets produce by internal models, institutions that have not received permission to use own LGDs for exposures to corporates, institutions and central governments and central banks, as well as retail exposures do not calculate maturity for the calculation of the risk-weighted assets (i.e. use predefined values for maturity) .

Submission date
Final answer

The instructions on column 160 of C 101.00, column 140 of C 102.00 and column 140 of C 103.00 of Annex III to Regulation (EU) 2016/2070 (ITS on Supervisory Benchmarking) all refer to column 250 of template C 08.01 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting). The instruction on this column in Annex II to the ITS on Supervisory Reporting specify that the value reported for the maturity shall reflect Article 162 of Regulation (EU) No 575/2013 (CRR) which defines the applicable maturity both for the case where own LGDs are estimated and the case where supervisory LGDs are used. Accordingly, the abovementioned columns of the templates in Annex III to the ITS on Supervisory Benchmarking shall be reported whether own LGD estimates are used or not.

In accordance with the instructions on column 250 of C 08.01, no maturity value shall be reported in column 160 of C 101.00, column 140 of C 102.00 respectively column 140 of C 103.00 if this value is not relevant for the calculation of risk weighted exposure amounts (i.e., for example, not for the exposure class ’retail’).

Status
Archive
Answer prepared by
Answer prepared by the EBA.
Note to Q&A

Update 26.03.2021: This Q&A has been archived in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.